This textbook by Geoffrey Grimmett provides a thorough introduction to probability theory and random processes, with attention to both basic concepts and advanced topics. It is aimed at mathematics students in bachelor’s and master’s programs and covers theories that are directly applicable across a wide range of scientific disciplines.
Description
The text covers fundamental components of probability theory and random processes, including Markov processes, martingales, queues, diffusions with stochastic calculus, stationary processes, and financial applications such as the Black-Scholes model. In addition, this revised fourth edition includes new sections on coupling from the past, Lévy processes, self-similarity and stability, time changes, and continuous Markov chains. The book includes approximately 1300 exercises, many of which are updated, with solutions available in a separate exercise collection.
Product specifications
- Author: Geoffrey Grimmett (Professor Emeritus Mathematical Statistics, University of Cambridge)
- Publisher: Oxford University Press
- Publication date: 16 July 2020
- Number of pages: 688
- ISBN: 9780198847595
- Theme: Probability and statistics
- BISAC: MATHEMATICS / Probability & Statistics / General
About the author
Geoffrey Grimmett is Professor Emeritus in mathematical statistics at the University of Cambridge and has a long record in the field of probability theory and mathematical systems with random processes. He has published several scientific works and is co-author of two influential textbooks on probability theory and random processes.